| Titre | Les erreurs de prévision de change ont-elles des caractéristiques hétérogènes ? | |
|---|---|---|
| Auteur | Hélène Raymond, Agnès Bénassy-Quéré | |
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Revue | Economie et prévision |
| Numéro | no 125, 1996/4 | |
| Rubrique / Thématique | À propos des anticipations de change : nouveaux enseignements des données d'enquête |
|
| Page | 137-157 | |
| Résumé anglais |
Exchange Rate Forecasting Errors Using Survey Data: Are the Characteristics Homogenous or Heterogeneous?
Agnès Bénassy-Quéré and Hélène Raymond
Surveys of expectations provide valuable information on speculative exchange rate behaviour. We analyse the properties of forecasting errors for three exchange rates against the dollar (deutschemark, yen and pound sterling) and one exchange rate against the deutschemark (French franc). We use a set of descriptive statistics and econometric tests to identify the main characteristics of the forecasting errors and detect any differences across the forecasting ranges, the currencies and the periods. Three partially intersecting surveys (Economist, Consensus Forecasts and Banque Nationale de Paris) are used to check the universality of the results obtained and to envisage a fourth source of heterogeneity: disparities in the forecasting methods used by the different participants. We conclude that the characteristics of forecasting errors are more heterogeneous in terms of currencies and periods than in terms of forecasting ranges and surveys. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1996_num_125_4_5815 |
